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Robust estimation for vector autoregressive models
(Elsevier Science, 2013-09)
A new class of robust estimators for VAR models is introduced. These estimators are an extension to the multivariate case of the MM-estimators based on a bounded innovation propagation AR model. They have a filtering ...
External economic factors in the growth of the Peruvian economy: An autoregressive vector model (VAR)Factores económicos externos en el crecimiento de la economía peruana: Un modelo vector autorregresivo (VAR)
(Universidad Nacional Mayor de San Marcos, Facultad de Ciencias Contables, 2021)
Net Cash Flow Analysis as Stochastic Processes Theory Application and the Real Options Theory: A New Approach-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2015)
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-02-26)
Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value ...
Multivariate Threshold Models: TVARs and TVECMsMultivariate Threshold Models: TVARs and TVECMs
(Sociedade Brasileira de Econometria, 2003)
Os efeitos da política monetária nos preços dos ativos: uma análise VAR para o caso brasileiro
(Universidade Federal do Rio Grande do NorteBrasilUFRNCiências EconômicasDepartamento de Economia, 2022)
Simulación Modelo VAR IPP-IPC
(2015-02-12)
Se analiza la relación de los dos principales indicadores de precios en la economía colombiana, el IPP y el IPC. Para tal fin, se
identifica la teoría que compone a los dos índices, para luego desarrollar un modelo de ...
What happens after the central bank of Brazil increases the target interbank rate by 1%?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2005-03-15)
I start presenting an explicit solution to Taylorís (2001) model, in order to illustrate the link between the target interest rate and the overnight interest rate prevailing in the economy. Next, I use Vector Auto Regressions ...
Are the effects of uncertainty shocks big or small?
(2023)
Previous works have reached widely divergent conclusions on the macroeconomic relevance of uncertainty shocks. We show that this disagreement reflects identification problems linked to the use of financial data in low-frequency ...
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-07-01)
It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ...